Exact Asymptotics for a Multitimescale Model with Applications in Modeling Overdispersed Customer Streams

DOI10.1287/STSY.2019.0032zbMATH Open1446.60026arXiv1801.02999OpenAlexW2966780292WikidataQ127400904 ScholiaQ127400904MaRDI QIDQ5113898FDOQ5113898

M. R. H. Mandjes, M. Heemskerk

Publication date: 18 June 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Abstract: In this paper we study the probability $x{i}_n(u):=mathbbPleft(C_{n}geqslantunight)$, with $C_n:=A(ps{i}_{n}B(varph{i}_n))$ for L'{e}vy processes $A(cdot)$ and $B(cdot)$, and $varph{i}_n$ and $ps{i}_n$ non-negative sequences such that $varph{i}_{n}ps{i}_n=n$ and $varph{i}_{n}oinfty$ as $noinfty$. Two timescale regimes are distinguished: a `fast' regime in which $varph{i}_n$ is superlinear and a `slow' regime in which $varph{i}_n$ is sublinear. We provide the exact asymptotics of $x{i}_n(u)$ (as $noinfty$) for both regimes, relying on change-of-measure arguments in combination with Edgeworth-type estimates. The asymptotics have an unconventional form: the exponent contains the commonly observed linear term, but may also contain sublinear terms (the number of which depends on the precise form of $varph{i}_n$ and $ps{i}_n$). To showcase the power of our results we include two examples, covering both the case where $C_n$ is lattice and non-lattice. Finally we present numerical experiments that demonstrate the importance of taking into account the doubly stochastic nature of $C_n$ in a practical application related to customer streams in service systems; they show that the asymptotic results obtained yield highly accurate approximations, also in scenarios in which there is no pronounced timescale separation.

Full work available at URL: https://arxiv.org/abs/1801.02999

zbMATH Keywords

overdispersionEdgeworth expansionsservice systemsexact asymptoticsLévy processesmultitimescale model

Mathematics Subject Classification ID

Large deviations (60F10) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Cited In (1)

• Exact asymptotics in an infinite-server system with overdispersed input

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